Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0183 |
| Annualized Std Dev | 0.1255 |
| Annualized Sharpe (Rf=0%) | -0.1461 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.0849 |
| Quartile 1 | -0.0035 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0035 |
| Maximum | 0.1023 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0001 |
| Stdev | 0.0079 |
| Skewness | -0.0757 |
| Kurtosis | 18.3206 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0057 |
| Gain Deviation | 0.0060 |
| Loss Deviation | 0.0064 |
| Downside Deviation (MAR=210%) | 0.0111 |
| Downside Deviation (Rf=0%) | 0.0057 |
| Downside Deviation (0%) | 0.0057 |
| Maximum Drawdown | 0.4688 |
| Historical VaR (95%) | -0.0108 |
| Historical ES (95%) | -0.0186 |
| Modified VaR (95%) | -0.0103 |
| Modified ES (95%) | -0.0103 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-12-24 | 2020-03-18 | NA | -0.4688 | 3080 | 2826 | NA |
| 2008-09-09 | 2008-10-10 | 2008-12-04 | -0.2265 | 62 | 24 | 38 |
| 2003-05-27 | 2006-06-29 | 2008-05-27 | -0.1262 | 1260 | 781 | 479 |
| 1999-02-22 | 2000-01-18 | 2000-12-18 | -0.1250 | 463 | 230 | 233 |
| 2008-05-28 | 2008-06-19 | 2008-09-08 | -0.0859 | 72 | 17 | 55 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 1 | 0 | 0 | 0 | 0 | 0 | 1 | 0 | -2 | 0 | -1.1 | 0 | -1.2 |
| 2000 | 1.1 | 0 | 1.1 | 0 | 1.1 | 1 | 2 | 0 | -1 | 0 | 1 | 0 | 6.4 |
| 2001 | 1.1 | 0.8 | -0.3 | 0.3 | 0 | -0.2 | -0.5 | 1 | 1.8 | 0.6 | 0.6 | 0.3 | 5.7 |
| 2002 | 0 | -0.2 | -0.9 | 0.5 | 0.3 | 0.1 | 0 | 0 | -0.4 | 0 | 0.3 | 1 | 0.7 |
| 2003 | -0.4 | -0.1 | 0.1 | 0.4 | 0.1 | 0 | -0.8 | -0.1 | 0.6 | 0 | -0.6 | 0.4 | -0.3 |
| 2004 | 0.6 | 0.3 | -0.1 | 0.2 | -0.2 | 0.3 | 0.3 | 0.2 | -0.6 | -0.3 | 0 | 0.2 | 0.8 |
| 2005 | 0 | 0.2 | 0.5 | -0.6 | 0.4 | -0.1 | 0.5 | -0.1 | 0.2 | 0 | -0.3 | 0.3 | 0.8 |
| 2006 | -1.1 | -0.2 | 0.3 | 0 | 0 | 0.8 | 0.9 | 0.6 | 0 | -0.2 | 0.3 | 0.2 | 1.8 |
| 2007 | 0.3 | 0 | -0.4 | 0.3 | -0.6 | 0.3 | -1.3 | 0.8 | 0.3 | 0.6 | 0.3 | 1.4 | 1.8 |
| 2008 | 0.1 | -0.3 | -0.7 | 0.6 | -0.9 | 1 | -0.3 | 0 | 8 | 0.3 | -2.9 | 2.6 | 7.4 |
| 2009 | 0 | -0.8 | -0.4 | 1.1 | 0.6 | -0.1 | 0.8 | 0.3 | 0.8 | 0.1 | 0.7 | 0.9 | 3.9 |
| 2010 | -1.1 | 0.1 | -0.1 | 0.4 | 0.6 | 0.7 | -0.9 | 0 | 0.7 | -0.1 | -0.4 | 0.7 | 0.5 |
| 2011 | 0 | 0.8 | 0.3 | 0 | 0.6 | 0.4 | 1.5 | 0.4 | -2.3 | 0.1 | 0.7 | 0 | 2.6 |
| 2012 | 0.7 | 1.1 | -1.3 | 1.2 | 0.1 | 0.6 | 0.6 | -0.4 | 1.7 | 0.1 | -0.6 | 0.4 | 4.3 |
| 2013 | 0.6 | 0.3 | 0.2 | 0.9 | -0.5 | -0.8 | -1.2 | -0.4 | 0.4 | -0.2 | -0.5 | -0.5 | -1.8 |
| 2014 | 0.2 | 0.3 | 0 | 1 | -0.2 | 0.3 | 0.2 | 0.3 | 0.4 | 0.4 | -1 | -1 | 0.8 |
| 2015 | 0 | -0.3 | 0.7 | 0.2 | -0.2 | 0.9 | 0.4 | 1.3 | -0.7 | 0.4 | 1.1 | 0.2 | 4 |
| 2016 | 1.1 | -0.6 | -1.1 | -0.4 | 0.4 | 0.6 | 0.9 | -0.2 | 0.4 | 0.6 | 1 | 1.2 | 3.9 |
| 2017 | 0.4 | -0.2 | 0.2 | 0 | 0.4 | 0.6 | 1.4 | 0.2 | 0 | 0.6 | 0.8 | -0.2 | 4.3 |
| 2018 | 0 | 0.4 | 0.7 | 0.9 | 0.4 | -0.2 | 0 | 0 | 0.5 | -0.2 | 0.2 | 0.7 | 3.3 |
| 2019 | -0.7 | 0.5 | -0.4 | 1.1 | 0.4 | 0.9 | 0.5 | -0.2 | -0.4 | -0.5 | 0 | -0.6 | 0.5 |
| 2020 | 1.1 | -1.3 | 0.9 | 0.2 | 0.8 | 0.9 | 0 | 0.4 | 0.2 | 0 | 0.4 | 0.7 | 4.3 |
| 2021 | 0.4 | 0.2 | -0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
